PENGARUH HARGA SAHAM, VOLATILITAS HARGA SAHAM, DAN VOLUME PERDAGANGAN SAHAM TERHADAP BID-ASK SPREAD SAHAM PADA PERUSAHAAN SEKTOR PERTAMBANGAN YANG TERDAFTAR DI INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JUNI 2016−JUNI 2017

MARYADI, SARAH (2013) PENGARUH HARGA SAHAM, VOLATILITAS HARGA SAHAM, DAN VOLUME PERDAGANGAN SAHAM TERHADAP BID-ASK SPREAD SAHAM PADA PERUSAHAAN SEKTOR PERTAMBANGAN YANG TERDAFTAR DI INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JUNI 2016−JUNI 2017. S1 thesis, Universitas Negeri Jakarta.

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Abstract

Sarah Maryadi, 8215132755, The Effect of Stock Price, Stock Price Volatility, and Stock Trading Volume toward Stock Bid-ask Spread on Mining Sector Companies that Listed on Indonesia Sharia Stock Index (ISSI) for Period June 2016 – June 2017, Study Program of S1 Management, State University of Jakarta, 2018. This study aims to determine the effect of stock price, stock price volatility and stock trading volume toward bid-ask spreads on mining sector companies that listed on Indonesia Sharia Stock Index (ISSI) for period June 2016 - June 2017. This research uses purposive sampling technique and produce 9 companies as samples. This research using panel data regression method and using Eviews 9 to process the data. The results shows that stock prices have a significant negative effect on bid-ask spread, this indicates if the stock price increases, so the bid-ask spread will be decreases, otherwise if the stock price decreases the bid-ask spread will increases. Stock with high prices considered to be actively traded. The more active a stock traded, the investor will not hold the stock for too long, causing the inventory holding cost to decrease and the spread narrows. The stock trading volume has a negative and significant effect on the bid-ask spread, this indicates if the stock trading volume increases then the bid-ask spread will be decreases, otherwise if the stock trading volume decreases then the bid-ask spread will increase. Increased trading volume will cause the stock to become more liquid, so dealers do not have to keep stocks for too long, then the inventory holding cost of stocks decreases and bid-ask spreads narrow. For stock price volatility, this variable have negative and not significant effect to the bid-ask spread. The results of this study also show that investors in Indonesia have a risk profile with the conservative type of investors who tend to avoid high risk (risk averse) and choose the type of investment with the lowest risk. Significant results on stock prices and stock trading volume indicate if investors in Indonesia are more interested in stocks that are actively traded because it is more liquid and easy to buy and sell. The ease of trading indicates if the risk is quite low. Keywords : Bid-ask Spread, Stock Price, Stock Price Volatility, and Stock Trading Volume

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